Aerospace Science and Technology 73 (2018) 184–196

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Aerospace Science and Technology

www.elsevier.com/locate/aescte

Maximum likelihood principle and moving horizon estimation based

adaptive unscented Kalman filter
Bingbing Gao a,∗ , Shesheng Gao a , Gaoge Hu a , Yongmin Zhong b , Chengfan Gu b
a
School of Automatics, Northwestern Polytechnical University, Xi’an 710072, China
b
School of Engineering, RMIT University, Bundoora, VIC 3083, Australia

a r t i c l e i n f o a b s t r a c t

Article history: The classical unscented Kalman filter (UKF) requires prior knowledge on statistical characteristics of
Received 1 April 2017 system noises for state estimation of a nonlinear dynamic system. If the statistical characteristics of
Received in revised form 6 June 2017 system noises are unknown or inaccurate, the UKF solution will be deteriorated or even divergent. This
Accepted 4 December 2017
paper presents a novel adaptive UKF by combining the maximum likelihood principle (MLP) and moving
Available online 7 December 2017
horizon estimation (MHE) to overcome this limitation. This method constructs an optimization based
Keywords: estimation of system noise statistics according to MLP. Subsequently, it further establishes a moving
Unscented Kalman filter horizon strategy to improve the computational efficiency of the MLP based optimization estimation. Based
Noise statistic estimation on above, a new expectation maximization technique is developed to iteratively compute the MLP and
Maximum likelihood principle MHE based noise statistic estimation by replacing complex smoothed estimates with filtering estimates
Moving horizon estimation for further improvement of the computational efficiency. The proposed method can achieve the online
Expectation maximization technique estimation of system noise statistic and enhance the robustness of the classical UKF. The efficacy of the
proposed adaptive UKF is demonstrated through simulations and practical experiments in the INS/GPS
integrated navigation.
© 2017 Elsevier Masson SAS. All rights reserved.

1. Introduction using a set of deterministically selected sample points. At the same

State estimation for nonlinear dynamic systems is of impor-
tance in various fields such as signal processing, vehicle navigation,
system identification and target tracking [1–4]. A large number of
filtering approaches have been developed to address the problem
of nonlinear state estimation. Among these methods, the extended
Kalman filter (EKF) is the most widely used nonlinear filtering
strategy [2,5]. EKF is an approximation method, in which the non-
linear system model is linearized by the first-order Taylor expan-
sion such that the traditional linear Kalman filter can be applied
[1,6]. However, the first-order linearization of system model intro-
duces large errors for the mean and covariance of system state
vector, leading to a suboptimal or even divergent filtering solution.
In addition, the calculation of Jacobian matrices is difficult to im-
plement in practical applications [5,7].
The unscented Kalman filter (UKF) is an improvement to EKF,
in light of the fact that it is much easier to approximate a prob-
ability distribution than an arbitrary nonlinear transformation [8].
In contrast to EKF, UKF does not require model linearization, in-
stead, it performs a direct approximation of the state propagation
* Corresponding author.
E-mail address: nwpugbb0826@126.com (B. Gao).
level of computational complexity as EKF, UKF can approximate
the posterior mean and covariance of any Gaussian random vari-
able in third-order accuracy, whereas EKF in first-order accuracy.
Furthermore, UKF does not require the computation of Jacobian
matrices since it directly uses nonlinear state equations without
involving any linearization [9,10]. Due to these advantages, UKF
has received great attention in many fields [1,10,11]. However, the
filtering performance of UKF heavily relies on the prior knowledge
on statistical characteristics of system noises [12–15]. In practical
applications, the statistical characteristics of system noises are usu-
ally unknown or inaccurate due to uncertainties and disturbances
involved in a dynamic environment, leading to a suboptimal or
even divergent filtering solution.
Research efforts have been dedicated to resisting the influence
of inaccurate noise statistics on the UKF estimation. One category
of methods focuses on introducing relevant adjustment factors
to online correct the filtering solution. Cho and Choi developed
a sigma-point based receding horizon Kalman filter (SPRHKF) to
improve the UKF robustness [14]. This method uses a receding
horizon approach to adaptively resist model uncertainty and tem-
porarily unknown sensor bias. However, since this filter is based
on a finite impulse response structure, the filtering convergence
is poor [16]. Soken and Hajiyev studied a robust UKF to weaken

https://doi.org/10.1016/j.ast.2017.12.007
1270-9638/© 2017 Elsevier Masson SAS. All rights reserved.
 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196 185

the influence of abnormal measurements on the filtering solution
by introducing a scale factor to adjust the Kalman filer gain [15].
However, the scale factor has to be determined empirically, which
may lead to a suboptimal or biased filtering solution. Wang et al.
reported an adaptive-robust UKF by introducing adaptive factors
into the robust UKF [17]. This method can inhibit the disturbance
of system model uncertainty on the filtering solution. However,
similar as Soken’s method, as the equivalent weight factors and
adaptive factors are still determined empirically, the filtering solu-
tion of the method may be suboptimal or divergent.
Another category of methods focuses on using online estima-
tion of system noise statistics to improve the performance of the
classical UKF, leading to various adaptive UKFs with noise statis-
tic estimator. Based on the MIT rule, Song and Han developed
an adaptive UKF to update the covariance of process noise by
minimizing the difference between computed covariance and ac-
tual innovation covariance [18]. However, this method requires the
calculation of partial derivatives, causing a relatively large com-
putational burden [19]. Shi and Han developed an adaptive UKF
by combining the Sage–Husa noise statistic estimator with the
classical UKF [3]. Zhao et al. also developed an adaptive UKF
based on maximum posterior estimation and exponential weight-
ing [16]. Although the above two methods can accommodate dy-
namic changes of system noise and are also computationally ef-
ficient, the forgetting factors used in these two filters have to be
determined empirically. Based on the covariance matching tech-
nique, Meng et al. reported an adaptive UKF to online estimate
and adjust the noise covariances using the innovation and residual
sequences [20]. However, the use of the covariance matching tech-
nique yields a steady-state estimation error, leading to a limited
improvement in the filtering accuracy [6].
The maximum likelihood principle (MLP) based adaptive filter
is a promising solution to address the problem of noise statistic
estimation for nonlinear systems [6,21,22]. It simplifies the prob-
lem of noise statistic estimation as the maximization of the joint
likelihood function associated with system state and measurement.
constructs an optimization based estimation of system noise statis-
tics using MLP, and further establishes a moving horizon strategy
to control the unbounded growth of computational burden in the
MLP optimization based estimation. Based on this, a new EM tech-
nique is developed to iteratively compute the estimation of system
noise statistics, where complex smoothed estimates are replaced
with filtering estimates to determine the noise statistic estima-
tion for further improvement of the computational efficiency. The
proposed method overcomes the limitation of the classical UKF
by online estimating and adjusting system noise statistics. Sim-
ulations and practical experiments in the INS/GPS (Inertial Navi-
gation System/Global Position System) integrated navigation have
been conducted to comprehensively evaluate the performance of
the proposed adaptive UKF.
2. Classical UKF
In order to demonstrate the improvement of the proposed MLP
and MHE based adaptive UKF clearly, let us briefly review the clas-
sical UKF at first.
Consider the following nonlinear Gaussian system with additive
noises

xk = f (xk−1 ) + w k
(1)
zk = h(xk ) + v k
where xk ∈ Rn and zk ∈ Rm are the state vector and measurement
vector at time k; f (·) and h(·) are the nonlinear functions de-
scribing the process and measurement models; and w k ∈ Rn and
v k ∈ Rm are the process and measurement noises, which are as-
sumed as the uncorrelated zero-mean Gaussian white noises, i.e.,
⎧
⎨ E [wk] = 0
⎪ E [ w k w Tj ] = Q δkj
E [vk] = 0 E [ v k v Tj ] = R δkj (2)
⎪
⎩
E [wk v j ] = 0
T

In case of independent and identically distributed samples, MLP

where Q is a non-negative definite matrix, R is a positive definite
can always find an unique unbiased estimate with minimum co-
matrix, and δkj is the Kronecker-δ function.
variance [22–24]. The expectation maximization (EM) technique,
The procedure of the classical UKF for the nonlinear system
developed by Dempster [25], is one of the techniques to compute
given by (1) can be summarized as:
the estimation of the unknown parameters based on MLP. Wan and
Merwe combined the EM technique with EKF/UKF to deal with the Step 1: Given state estimate x̂k−1 and associated error covariance
dual estimation problem involved in the nonlinear system, where
matrix P k−1 , the sigma points can be selected by
both system state and model parameters are estimated simulta-
⎧
neously [26]. Zia et al. [27] combined the EM technique with the
particle filter to estimate the uncertain parameters of a measure-
⎨ χ i ,k−1 = x̂k−1 ,
⎪

i=0
χ i,k−1 = x̂k−1 + (a n P k−1 )i , i = 1, 2, . . . , n (3)
ment model for nonlinear non-Gaussian systems. Chitralekha et al. ⎪
⎩ 
[28] compared the performances of the EM technique combined χ i,k−1 = x̂k−1 − (a n P k−1 )i−n , i = n + 1, n + 2, . . . , 2n
with the EKF, UKF and particle filter for determination of uncer-
where a is the tuning parameter to determine the spread of the
tain system model parameters. In general, as MLP causes a heavy
sigma points around x̂k−1 and is usually set to a small positive
computational load, the EM technique can only achieve off-line es-
value, and ( n P k−1 )i denotes the ith column of the square root of
timation of system model parameters, especially for nonlinear sys-
matrix n P k−1 .
tems [6]. Further, the computation of complex smoothed estimates
involved in the EM technique also causes an extra computational Step 2: Prediction. These sigma points are instantiated through the
burden.
process model to yield a set of transformed samples
The moving horizon estimation (MHE) is an effective strategy
to handle expensive computations involved in optimal parameter
χ i,k/k−1 = f (χ i,k−1 ), i = 0, 1, . . . , 2n (4)
estimation, in which the parameter estimate is obtained online by
replacing old samples from the estimation horizon with new avail- The predicted state mean and covariance are computed as
able samples [29–32]. In spite of the recent progress showing that
MHE has been successfully applied to the state estimation and pro- 
2n 
2n
cess control [30,33], there has been very limited research focusing x̂k/k−1 = ωi χ i,k/k−1 = ωi f (χ i,k−1 ) (5)
on the use of MHE for system noise statistic estimation. i =0 i =0
This paper presents a novel adaptive UKF by combining MLP

2n
with MHE to overcome the problem of the classical UKF in require- P k/k−1 = ωi (χ i,k/k−1 − x̂k/k−1 )(χ i,k/k−1 − x̂k/k−1 )T + Q (6)
ment of accurate characteristics on system noises. This method
i =0
186 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196

ωi = 1 − a12 , i = 0 
k 
k
where 1
ωi = 2na i = 1, 2, . . . , 2n. p ( z 1:k , x0:k |θ) = p (x0 |θ) × p ( x j | x j −1 , θ ) × p ( z j |x j , θ )
2,
j =1 j =1
Step 3: Update. The sigma points for the measurements are (16)

γ i,k/k−1 = h(χ i,k/k−1 ) (7) Assuming that the initial state, process noise and measurement
noise comply with Gaussian distribution, (16) can be rewritten as
and the weighted mean and covariance of the predicted measure-
 
ment are computed by 1 (x0 − x̂0 )T P − 1
0 (x0 − x̂0 )
p ( z 1:k , x0:k |θ) = exp −

2n 
2n (2π )| P 0 |1/2 2
 
ẑk/k−1 = ωi γ i,k/k−1 = ωi h(χ i,k/k−1 ) (8)  k
1 w T
j
Q −1 w j
i =0 i =0
× exp −
(2π )n/2 | Q |1/2 2
j =1

2n
 − 
P ẑk/k−1 = ωi (γ i,k/k−1 − ẑk/k−1 )(γ i,k/k−1 − ẑk/k−1 )T + R (9)  k
1 v j R 1v j
T
× exp −
i =0 (2π )m/2 | R |1/2 2
j =1
The covariance between the predicted state and measurement is (17)
given by
Taking the logarithm of (17) and ignoring the constant terms yield

2n
T
P x̂k/k−1 ẑk/k−1 = ωi (χ i,k/k−1 − x̂k/k−1 )(γ i,k/k−1 − ẑk/k−1 ) (10) ln L (θ | z 1:k , x0:k )
   
i =0 ≈ − ln | P 0 | − (x0 − x̂0 )T P − 1
0 (x0 − x̂0 ) − k ln | Q |
(18)
The Kalman gain is determined by 
k
    
k
 
− w Tj Q −1 w j − k ln | R | − v Tj R −1 v j
K k = P x̂k/k−1 ẑk/k−1 P −
ẑ
1
(11) j =1 j =1
k/k−1

Then, the state estimate and associated error covariance matrix are Substituting (18) into (14), parameter θ can be obtained by solving
updated as the following optimization problem

x̂k = x̂k/k−1 + K k ( zk − ẑk/k−1 ) (12) θ̂ M L = arg max ln L (θ | z 1:k , x0:k )

θ
P k = P k/k−1 − K k P ẑk/k−1 K kT (13)
= arg max − ln(| P 0 |) − (x0 − x̂0 )T P − 1
0 (x0 − x̂0 )
θ
Step 4: Repeat Steps 1 to 3 for the next sample until all samples
are processed. − k ln(| Q |)

It can be seen from (6) that if the process noise statistic Q is 
k
  
k
 
inaccurate, the predicted state covariance P k/k−1 will become bi- − w Tj Q −1 w j − k ln(| R |) − v Tj R −1 v j
ased, thus making the estimated state covariance P k described by j =1 j =1

(13) biased. The biased P k will cause the predicted state x̂k+1/k ,
the predicted measurement ẑk+1/k and the Kalman gain K k+1 to = arg min ln(| P 0 |) + (x0 − x̂0 )T P − 1
0 (x0 − x̂0 ) + k ln(| Q |)
θ
become inaccurate, thus deteriorating the state estimate obtained
from (12). Similarly, if the measurement noise statistic R is inac- 

k
  
k
 
curate, the predicted measurement covariance P ẑk/k−1 obtained by + w Tj Q −1 w j + k ln(| R |) + v Tj R −1 v j (19)
(9) will become biased. Further, it can be seen from (11) that the j =1 j =1
Kalman gain K k will also become biased, thus deteriorating the
UKF solution. From the above analysis, it is evident that without 3.2. MLP and MHE based noise statistic estimation
accurate system noise statistics, the solution of the classical UKF
will be deteriorated or even divergent. It can be seen from (19) that the computational load of the
above MLP based noise statistic estimation will increase without
3. Proposed adaptive UKF bound due to accumulations of state and measurement informa-
tion in time series. This will seriously affect the real-time perfor-
3.1. MLP based noise statistic estimation mance of UKF. To avoid the unbounded growth of computational
load, a moving horizon strategy is established to bound the size of
Assume that parameter θ = { Q , R } represents the noise statis- the optimization problem.
tic of the nonlinear system described by (1). Thus, parameter θ can For a fixed horizon N ≥ 1, let X N = {x j : j = k − N + 1, . . . , k}
be estimated by applying the maximum likelihood principle [6] and Z N = { z j : j = k − N + 1, . . . , k}. The estimation of parameter
θ based on MHE can be posed as maximizing the log-likelihood
θ̂ M L = arg max ln L (θ | z 1:k , x0:k ) (14) function of θ with respect to X N and Z N , i.e.,
θ

where L (θ| z 1:k , x0:k ) is the likelihood function of θ . θ̂ M H = arg max ln L (θ | Z N , X N ) (20)
Using the definition of the likelihood function, we have θ
Similar to (15), we have
L (θ | z 1:k , x0:k ) = p ( z 1:k , x0:k |θ ) = p (x0:k |θ ) p ( z 1:k |x0:k , θ ) (15)
L (θ | Z N , X N ) = p ( Z N , X N |θ) = p ( X N |θ ) p ( Z N | X N , θ ) (21)
Since the state equation of the nonlinear system (1) is a first-order
Markov process, (15) can be further factorized as Then, (21) can be further written as
 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196 187


k
EM technique replaces complex smoothed estimates with filtering
p ( Z N , X N |θ) = p (xk− N |θ) × p ( x j | x j −1 , θ ) estimates to determine the noise statistic estimation, leading to
j =k− N +1 further improvement of the computational efficiency. In each itera-

k tion, an expectation step (E-step) is used to obtain the expectation
× p ( z j |x j , θ ) (22) of the likelihood function conditioned on all the available data and
j =k− N +1 estimated parameters from the previous iteration. Subsequently, a
maximization step (M-step) is used to obtain a new set of param-
Similar to the given initial probability p (x0 |θ) for the MLP based eters by maximizing the likelihood function in the previous E-step.
optimization estimation discussed in Section 3.1, it is assumed Therefore, the optimization problem (25) can be solved in the fol-
in MHE that the conditional probability p (xk− N |θ) of the system lowing iterative process:
state just before the horizon is available, which represents the ini-
tial penalty of MHE [31]. The conditional probability p (xk− N |θ) is i) Expectation step (E-step):
served as a summary of the historical information excluded in the At the sth iteration, the E-step involves finding the expectation
horizon and is used to initialize the probability distribution of the of − ln[ L (θ| Z N , X N )] based on measurement data Z N and esti-
system state in the horizon. mated parameter θ (s−1) in the previous iteration.
For the simplification purpose, it is assumed that the ini- Taking the conditional expectation of − ln[ L (θ| Z N , X N )] and us-
tial penalty is a multivariate Gaussian distribution N (x̂k− N , P k− N ), ing the identity tr (xT x) = tr (xxT ), we have
which is one of the most common assumptions used in the MHE
E − ln L (θ | Z N , X N ) | Z N , θ (s−1)
implementation [31]. Thus, (22) can be rewritten as      
= ln | P k− N | + N ln | Q | + N ln | R |
p ( Z N , X N |θ)
1
+ E tr P k−−1N (xk− N − x̂k− N )(xk− N − x̂k− N )T | Z N , θ (s−1)
= 
(2π )| P k− N |1/2 k
 
−1 T ( s −1 ) (26)
  +E tr Q w j w j |Z N, θ
(xk− N − x̂k− N )T P k−−1N (xk− N − x̂k− N )
× exp − j =k− N +1
2 

k
 
  (23) −1 ( s −1 )

k
1 w Tj Q −1 w j +E tr R v j v Tj |Z N, θ
× exp − j =k− N +1
(2π )n/2 | Q |1/2 2
j =k− N +1
  where tr (·) is the trace operator.

k
1 v Tj R −1 v j (s−1) (s−1)
Let {x̂ j / N } and { P j / N } represent the fixed-interval smoothed
× exp −
(2π )m/2 | R |1/2 2 estimates and corresponding error covariances based on θ (s−1) .
j =k− N +1
Then, the fourth term on the right side of (26) can be calculated
Taking the logarithm of (23) and ignoring its constant terms, the
as
log-likelihood function of θ based on MHE can be written as
E tr P k−−1N (xk− N − x̂k− N )(xk− N − x̂k− N )T | Z N , θ (s−1)
ln[ L (θ | Z N , X N )]  ( s −1 )  ( s −1 ) 
≈ − ln(| P k− N |) − [(xk− N − x̂k− N )T P k−−1N (xk− N − x̂k− N )] = tr P k−−1N P (k− N )/ N + x̂(k− N )/ N − x̂k− N (27)
 ( s −1 ) T 

k
× x̂(k− N )/ N − x̂k− N
− N ln(| Q |) − ( w Tj Q −1 w j ) − N ln(| R |)
(24)
j =k− N +1 For the nonlinear system given by (1), it is unable to ob-

k tain closed-form expressions for the conditional expectations
− ( v Tj R −1 v j ) (s−1)
E [ w j w Tj | Z N , θ (s−1) ] and E [ v j v Tj | Z N , θ (s−1) ] from {x̂ j / N } and
j =k− N +1 (s−1)
{ P j / N }, leading to the difficulty in calculating the conditional ex-
Substituting (24) into (20), the estimation of θ based on MHE can pectations of the nonlinear functions f (x j −1 ) and h(x j ). In order
be formulated as the following optimization problem to overcome this problem, the unscented transformation (UT) tech-
nique is adopted to approximate f (x j −1 ) and h(x j ).
θ̂ M H = arg max ln L (θ | Z N , X N ) Expand E [ w j w Tj | Z N , θ (s−1) ] as
θ

= arg min ln(| P k− N |) E w j w Tj | Z N , θ (s−1)

θ
= E x j − f ( x j −1 ) x j − f ( x j −1 ) | Z N , θ ( s −1 )
T

+ (xk− N − x̂k− N )T P k−−1N (xk− N − x̂k− N ) (28)

(25) = E x j xTj − f (x j −1 )xTj − x j f T (x j −1 )

k
 
+ N ln(| Q |) + w Tj Q −1 w j + f ( x j −1 ) f T ( x j −1 ) | Z N , θ ( s −1 )
j =k− N +1 (s−1)
 From {x̂ j / N } and their transformed sigma points based on UT, we

k
  can obtain
+ N ln(| R |) + v Tj R −1 v j
  ( s − 1 )  ( s − 1 ) T ( s −1 )
j =k− N +1 E x j xTj | Z N , θ (s−1) = x̂ j / N x̂ j / N + P j/N (29)

3.3. Determination of noise statistic estimation   

2n
   T
E f (x j −1 )xTj | Z N , θ (s−1) ≈ ωi f χ (i,(s−j−1)1)/N · χ (i,s− 1)
j/N (30)
Based on the above theoretical analyses discussed in Sec- i =0
tions 3.1 and 3.2, this paper establishes a new EM technique to
  
2n
 
iteratively compute the MLP and MHE based noise statistic esti- E x j f T (x j −1 )| Z N , θ (s−1) ≈ ωi χ (i,s− 1) T
j/N
( s −1 )
f χ i ,( j −1)/ N (31)
mation. Different from the traditional EM technique, the proposed
i =0
188 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196

 
E f (x j −1 ) f T (x j −1 )| Z N , θ (s−1) ii) Maximization step (M-step):

2n
    (32) This step aims to maximize the log-likelihood function
≈ ωi f χ (i,(s−j−1)1)/N f T χ (i,(s−j−1)1)/N ln[ L (θ| Z N , X N )] to generate the sth estimation θ (s) based on
i =0 θ (s−1) . Take the partial derivative of (36) with respect to Q and R
(s−1) (s−1) such that the following conditions are fulfilled
where the sigma point sets {χ i ,( j −1)/ N } and {χ i , j / N } obey Gaus-
(s−1) (s−1) ∂J ∂J
sian distribution with means x̂( j −1)/ N and x̂ j / N as well as co- = 0, =0 (37)
(s−1) (s−1)
variances P ( j −1)/ N and P j / N , respectively. They are selected in
∂Q ∂R
the similar manner as (3). Using the matrix differential formulas [23], (37) can be further
Substituting (29)–(32) into (28) yields written as
∂J    ( s −1 )  ( s − 1 ) T
E w j w Tj | Z N , θ (s−1) = tr Q −1 − tr Q −2 B 1 − B2
( s −1 )
− B2
( s − 1 )  ( s − 1 ) T ∂Q
= x̂ j / N x̂ j / N + P (js/−N1) 
+ B (3s−1) = 0 (38)

2n
   
+ ωi f χ (i,(s−j−1)1)/N f T χ (i,(s−j−1)1)/N ∂J    ( s −1 ) ( s −1 )  ( s − 1 ) T
= tr R −1 − tr R −2 B 4 − B5 − B5
i =0 ∂R
 (33) 
2n
   1 ) T
+ B (6s−1) = 0 (39)
− ωi f χ (i,(s−j−1)1)/N · χ (i,s−
j/N
i =0 From (38) and (39), it is derived that


2n
  1 ( s −1 ) ( s −1 )  ( s − 1 ) T ( s −1 )
+ ωi χ (i,s− 1) T
j/N
( s −1 )
f χ i ,( j −1)/ N Q (s) = B1 − B2 − B2 + B3 (40)
N
i =0
1 ( s −1 )  T
Similar to the derivation process of E [ w j w Tj | Z N , θ (s−1) ],
R (s) = B4 − B (5s−1) − B (5s−1) + B (6s−1) (41)
N
E [ v j v Tj | Z N , θ (s−1) ] can be formulated as (s−1)
In order to obtain the matrices B i (i = 1, 2, . . . , 6) in (40) and
(41), the traditional EM technique requires the computation of the
E v j v Tj | Z N , θ (s−1) (s−1) (s−1)
  complex smoothed estimates x̂ j −1/ N and x̂ j / N , leading to a com-

2n
 1)  T

2n
 1) 
= z j z Tj − ωi h χ (i,s−
j/N
zj + zj ωi h T
χ (i,s−
j/N
putational burden. To solve this problem, this paper approximates
(s−1) (s−1)
i =0 i =0 (34) the complex smoothed estimates x̂ j −1/ N and x̂ j / N with the filter-

2n (s−1) (s−1) (s−1) (s)
    ing estimates x̂ j −1 and x̂ j . By substituting x̂ j −1/ N and x̂ j / N
+ ωi h χ (i,s− 1) T
j/N
( s −1 )
h χ i, j/N (s−1) (s−1) (s−1)
with x̂ j −1 and x̂ j in (35) to compute the matrices B i
i =0
(i = 1, 2, . . . , 6), the proposed new EM technique further improves
Denote the computational efficiency for the noise statistics estimation.

( s −1 )

k
( s −1 )  ( s − 1 ) T ( s −1 )
The above iterative process to compute system noise statistics
B1 = x̂ j / N x̂ j / N + P j/N , Q and R is terminated when the following criterion is satisfied
j =k− N +1 [6,21]
 2n 
k     1 ) T
B2
( s −1 )
= ωi f χ (i,(s−j−1)1)/N · χ (i,s− |ψ (s) − ψ (s−1) |
j/N <ε (42)
j =k− N +1 i =0 |ψ (s) |
 2n 
k     
( s −1 ) where ε is a small positive number, and ψ (s) is the magnitude of
B3 = ωi f χ (i,(s−j−1)1)/N f T χ (i,(s−j−1)1)/N ,
the objective function for the optimization problem (25).
j =k− N +1 i =0
(35)
( s −1 )
k
3.4. Algorithm
B4 = z j z Tj
j =k− N +1
 2n  The procedure of the proposed MLP and MHE based adaptive
( s −1 )
k   1)  T UKF (named MMAUKF) can be described as follows:
B5 = ωi h χ (i,s−
j/N
zj ,
j =k− N +1 i =0 Step 1: Given state estimate x̂k−1 and its error covariance matrix
 2n 
( s −1 )
k      P k−1 .
B6 = ωi h χ (i,s− 1) T ( s −1 )
j/N h χ i, j/N Step 2: Noise statistic estimation.
j =k− N +1 i =0
(i) For the first iteration s = 1, initialize the iterative procedure
The expectation of − ln[ L (θ| Z N , X N )] conditioned on Z N and (s−1)
by setting the initial value θ̂ k as θ̂ k−1 , where θ̂ k−1 is the noise
θ (s−1) can be given as statistics estimation at time k − 1.
(ii) Perform the classical UKF to obtain state estimate x̂k and its
J = E − ln L (θ | Z N , X N ) | Z N , θ (s−1) (s−1)
      error covariance matrix P k using θ̂ k .
= ln | P k− N | + N ln | Q | + N ln | R |
 ( s −1 )  ( s −1 )  (iii) Update noise statistic θ̂ k
(s)
via (40) and (41).
+ tr P k−−1N P (k− N )/ N + x̂(k− N )/ N − x̂k− N (s) (s−1)
 ( s −1 ) T  (36) (iv) Repeat Steps (ii) and (iii) by using θ̂ k to replace θ̂ k
× x̂(k− N )/ N − x̂k− N until the condition (42) is satisfied.
  T 
+ tr Q −1 B (1s−1) − B (2s−1) − B (2s−1) + B (3s−1) Step 3: Prediction. With the updated process noise covariance Q̂ ,
  T 
+ tr R −1 B (4s−1) − B (5s−1) − B (5s−1) + B (6s−1) compute the predicted state mean and covariance as
 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196 189


2n 
2n
is the position with components in longitude, latitude and altitude,
x̂k/k−1 = ωi χ i,k/k−1 = ωi f (χ i,k−1 ) (43) and M is given as
i =0 i =0
⎡ 1 ⎤

2n ( R N +h) cos L 0 0
P k/k−1 = ωi (χ i,k/k−1 − x̂k/k−1 )(χ i,k/k−1 − x̂k/k−1 )T + Q̂ M=⎣ 0 1
R M +h
0⎦ (51)
i =0 0 0 1
(44)
where R M and R N are the radii of curvature in meridian and prime
vertical, respectively.
Step 4: Update. With the updated measurement noise covariance
The gyro bias εb can be described as
R̂, calculate the predicted measurement mean and covariance by


2n 
2n ε̇b = η gu (52)
ẑk/k−1 = ωi γ i,k/k−1 = ωi h(χ i,k/k−1 ) (45) where η gu is a zero-mean Gaussian white noise process with spec-
i =0 i =0 tral density.

2n Similarly, the accelerometer bias ∇b is given by
P ẑk/k−1 = ωi (γ i,k/k−1 − ẑk/k−1 )(γ i,k/k−1 − ẑk/k−1 )T + R̂
˙ b = ηau
∇ (53)
i =0
(46) where ηau is a zero-mean Gaussian white noise process with spec-
tral density.
Complete the classical UKF procedure with (10)–(13) to update
It should be pointed out that the normalization constraint for
state estimate x̂k and its error covariance matrix P k .
the attitude quaternion in (47) may be violated due to the inher-
Step 5: Repeat Steps 1 to 4 for the next sample until all samples ent averaging operation of the classical UKF. This problem can be
are processed. solved using the unconstrained generalized Rodrigues parameter
(GRP) [34].
4. Performance evaluation and discussions Denote the attitude error quaternion by δ q = [δq0 , δ u T ]T , where
δ u is the vector part of error quaternion δ q. The GRP correspond-
A prototype system has been implemented using the proposed ing to error quaternion δ q is given by
MMAUKF. Simulations and experiments have been conducted to
comprehensively evaluate the proposed MMAUKF for an INS/GPS δu
δR = l (54)
integrated navigation system. Comparison analysis of the proposed s + δq0
MMAUKF with the classical UKF, MLP based adaptive UKF (named
where s is a constant within [0, 1], and l is a scale factor [35].
MAUKF) and SPRHKF is also discussed in this section. It should be
Defining the system state vector x(t ) as
noted that the traditional EM technique [28] is used in MAUKF to
determine the estimation of system noise statistics. x(t ) = δ R , v n , pn , εb , ∇b (55)

4.1. Mathematical model of INS/GPS integrated navigation According to the defined system state vector and (47)–(54), the
system state equation can be described as
4.1.1. System state equation  
The INS/GPS integrated navigation system uses the standard in- ẋ(t ) = f x(t ) + w (t ) (56)
ertial navigation equations as the system state equation. Denote
where f (·) is the nonlinear function, and w (t ) = [01×9 , η gu , ηau ]T
the body frame by b, the earth frame e and the inertial frame i.
is the process noise vector.
The navigation frame (n) is chosen as the E-N-U (East-North-Up)
geography frame (g). The standard inertial navigation equations 4.1.2. Measurement equation
with quaternion parameterization can be described as The measurement vector z is chosen as
1
q̇nb = qn ⊗ ωnb b
(47) z = [λG , L G , h G ]T (57)
2 b
   
v̇ n = C qnb f b − 2ωnie + ωnen × v n + g n (48) where (λG , L G , h G ) is the position from the GPS receiver.
n n
The measurement equation is given by [36]
ṗ = Mv (49)
zk = H k xk + v k (58)
In (47), qnb is the attitude quaternion from the b-frame to the
n-frame, ⊗ represents the quaternion multiplication, and ωnb
b
is where H k = 0 3×6 I 3×3 03×6 , and v k is the measurement
the body angular rate with respect to the n-frame and is repre- noise vector.
sented as
   4.2. Simulations and analysis
b
ωnb = ωbib − C qnb ωnie + ωnen (50)
Simulations were conducted to comprehensively evaluate the
where ωbib is the body angular rate measured by gyroscopes in performance of the proposed MMAUKF for the dynamic flight of
the b-frame, ωnie is the earth rotation rate in the i-frame, ωnen is a vehicle. The dynamic flight trajectory, which was designed ac-
the angular rate of the n-frame with respect to the e-frame, and cording to the actual flight of an highly-dynamic aircraft, is shown
C (qnb ) denotes the attitude matrix corresponding to the attitude in Fig. 1. The flight involves various maneuvers such as climbing,
quaternion qnb . pitching, rolling and turning. The simulation parameters are shown
In (48) and (49), v n = [ v nE , v nN , v nU ]T represents the velocity rel- in Table 1. The simulation time was 1000 s and the filtering pe-
ative to the earth, f b is the specific force measured by accelerom- riod was 1 s. The horizon lengths for the SPRHKF and proposed
eters in the b-frame, g n denotes the gravity vector, p = [λ, L , h]T MMAUKF were set to 30.
190 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196

Fig. 1. Aircraft trajectory.

Table 1 noise was enlarged to six times of its initial value. During the time
Simulation parameters. period from 600 s to 700 s, the standard deviation of measurement
Initial position East longitude 108.997◦ noise was enlarged to five times of its initial value.
North latitude 34.246◦ The true values and initial values of Q and R during the time
Altitude 5000 m
periods 300 s∼400 s and 600 s∼700 s are listed in Table 2, where
Initial velocity East 0 m/s the initial values of Q and R are set significantly differently from
North 150 m/s
the true values for the purpose of performance evaluation. More-
Up 0 m/s
over, Tables 3 and 4 show the mean estimation values of Q and
Initial attitude Pitch 0◦ R obtained by the proposed MMAUKF during the time periods
Roll 0◦
300 s∼400 s and 600 s∼700 s, respectively. Comparing Tables 3
Yaw 0◦
and 4 to Table 2, it can be seen that the estimated values of Q
Initial position error East longitude 12 m
and R by the proposed MMAUKF are extremely close to their true
North latitude 12 m
Altitude 15 m values. This demonstrates that the proposed MMAUKF can effec-
tively estimate the system noise statistics and provide the accurate
Initial velocity error East 0.4 m/s
system noise statistics for the classical UKF in the case without ac-
North 0.4 m/s
Up 0.4 m/s curate system noise statistics.
Fig. 2 illustrates the attitude errors obtained by the classical
Initial attitude error Pitch 1
Roll 1 UKF, SPRHKF and proposed MMAUKF, respectively. It can be seen
Yaw 1.5 from Fig. 2 that, during the time period from 300 s to 400 s,
the classical UKF is significantly disturbed by the enlarged pro-
Gyro parameters Constant drift 0.1◦ /h
Covariance of η gu diag [(0.01◦ /h)2 I 3×3 ] cess noise covariance, resulting in the large magnitude of oscilla-
tions. The attitude errors in Pitch, Roll and Yaw achieved by the
Accelerometer Zero bias 10−3 g
parameters Covariance of ηau diag [(10−4 g )2 I 3×3 ]
classical UKF are within (−0.7037 , 0.6732 ), (−0.6984 , 0.5950 )
and (−1.0922 , 1.1569 ), respectively. The SPRHKF weakens the
GPS parameters Horizontal position error (RMS) 5m
influence of the enlarged noise statistics on the filtering solu-
Altitude error (RMS) 8m
Sampling frequency 1 Hz tion and improves the estimation accuracy of the classical UKF,
leading to the attitude errors in Pitch, Roll and Yaw within
(−0.4835 , 0.5315 ), (−0.4825 , 0.5034 ) and (−0.8584 , 0.9098 ).
4.2.1. Navigation accuracy evaluation However, this method still has pronounced oscillations in the fil-
For the comparison analysis, simulation trials were conducted tering curve within the time period from 300 s to 400 s. Different
at the same conditions by the classical UKF, SPRHKF and pro- from the above two methods, as the proposed MMAUKF online
posed MMAUKF, respectively. Further, in order to evaluate the per- estimates and adjusts the system noise statistics during the filter-
formance of the proposed MMAUKF under the condition without ing process, the resultant estimation accuracy in attitude is the
accurate system noise statistics, the process noise covariance ( Q ) highest as expected. The estimated attitude errors by the proposed
and measurement noise covariance (R ) were modified. During the MMAUKF are within (−0.2962 , 0.2646 ), (−0.2699 , 0.2708 ) and
time period from 300 s to 400 s, the standard deviation of process (−0.5169 , 0.4563 ) in Pitch, Roll and Yaw.

Table 2
The real values and initial values of system noise statistics.

Process noise covariance ( Q ) (300 s∼400 s) Measurement noise covariance (R) (600 s∼700 s)
Real values diag [01×9 , (6 · 0.01◦ /h)2 I 3×3 , (6 · 10−4 g )2 I 3×3 ] diag [(5 · 5 m)2 , (5 · 5 m)2 , (5 · 8 m)2 ]
Initial values diag [01×9 , (0.01◦ /h)2 I 3×3 , (10−4 g )2 I 3×3 ] diag [(5 m)2 , (5 m)2 , (8 m)2 ]
Table 3
The mean estimation value of process noise covariance ( Q ) during the time period 300 s to 400 s.

Column
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
Row
1 0.1493 1.2232 5.8615 2.6984 −6.1356 3.5241 2.1156 1.0528 8.1254 9.8367 5.3648 7.5532 1.2535 9.8732 2.1644
×10−8 ×10−8 ×10−10 ×10−10 ×10−10 ×10−10 ×10−11 ×10−10 ×10−11 ×10−11 ×10−11 ×10−13 ×10−14 ×10−13
−1.5587

B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196

2 1.2232 0.0935 4.8872 1.9482 9.2275 3.8944 1.0021 3.8564 8.6927 3.2245 9.4533 1.0138 7.3658 8.5692
×10−8 ×10−8 ×10−10 ×10−11 ×10−10 ×10−10 ×10−10 ×10−10 ×10−11 ×10−11 ×10−10 ×10−14 ×10−14 ×10−13
3 5.8615 4.8872 0.1784 2.5896 5.3369 1.0569 2.3695 4.5893 9.9652 7.2489 1.2584 9.6583 1.8569 6.6258 3.4111
×10−8 ×10−8 ×10−10 ×10−10 ×10−9 ×10−9 ×10−10 ×10−11 ×10−11 ×10−10 ×10−12 ×10−13 ×10−14 ×10−14
4 2.6984 1.9482 2.5896 0.1587 2.3695 5.6983 8.5639 7.3695 5.2633 4.3835 2.5377 9.2671 1.1693 7.3133 6.8527
×10−10 ×10−10 ×10−10 ×10−8 ×10−8 ×10−9 ×10−9 ×10−9 ×10−13 ×10−13 ×10−14 ×10−10 ×10−11 ×10−11
5 −6.1356 9.2275 5.3369 2.3695 0.1246 9.8826 2.5330 1.2563 4.3692 6.3223 8.3657 −3.8862 3.5986 9.8899 3.6986
×10−10 ×10−11 ×10−10 ×10−8 ×10−9 ×10−9 ×10−8 ×10−9 ×10−13 ×10−14 ×10−13 ×10−11 ×10−12 ×10−11
6 3.5241 3.8944 1.0569 5.6983 9.8826 0.0614 9.3658 6.6284 7.6695 1.2360 6.5692 9.5247 1.0053 8.6955 −4.5478
×10−10 ×10−10 ×10−9 ×10−8 ×10−9 ×10−10 ×10−9 ×10−13 ×10−13 ×10−14 ×10−10 ×10−11 ×10−11
7 2.1156 1.0021 2.3695 8.5639 2.5330 9.3658 0.2081 1.0002 3.3699 1.0026 5.1346 2.0514 3.5566 4.4537 1.3555
×10−10 ×10−10 ×10−9 ×10−9 ×10−9 ×10−10 ×10−7 ×10−8 ×10−13 ×10−14 ×10−14 ×10−12 ×10−12 ×10−11
8 1.0528 3.8564 4.5893 7.3695 1.2563 6.6284 1.0002 0.1114 4.5342 4.3698 9.3640 2.6985 9.5589 7.3125 9.8561
×10−11 ×10−10 ×10−10 ×10−9 ×10−8 ×10−9 ×10−7 ×10−8 ×10−14 ×10−15 ×10−14 ×10−13 ×10−12 ×10−13
9 8.1254 8.6927 9.9652 5.2633 4.3692 7.6695 3.3699 4.5342 0.0898 5.8879 1.2696 9.9968 3.3698 8.7741 7.5563
×10−10 ×10−10 ×10−11 ×10−9 ×10−9 ×10−9 ×10−8 ×10−8 ×10−14 ×10−13 ×10−15 ×10−12 ×10−12 ×10−12
10 9.8367 3.2245 7.2489 4.3835 6.3223 1.2360 1.0026 4.3698 5.8879 36.9485 6.3695 8.9527 1.8325 8.6945 −9.9452
×10−11 ×10−11 ×10−11 ×10−13 ×10−13 ×10−13 ×10−13 ×10−14 ×10−14 ×10−4 (◦ /h)2 ×10−8 ×10−8 ×10−12 ×10−13 ×10−14
11 5.3648 9.4533 1.2584 2.5377 8.3657 6.5692 5.1346 9.3640 1.2696 6.3695 35.3897 1.5263 2.2258 1.0263 4.2366
×10−11 ×10−11 ×10−10 ×10−13 ×10−14 ×10−13 ×10−14 ×10−15 ×10−13 ×10−8 ×10−4 (◦ /h)2 ×10−7 ×10−13 ×10−12 ×10−13
12 7.5532 1.0138 9.6583 9.2671 −3.8862 9.5247 2.0514 2.6985 9.9968 8.9527 1.5263 34.8569 2.4426 9.8569 3.3396
×10−11 ×10−10 ×10−12 ×10−14 ×10−13 ×10−14 ×10−14 ×10−14 ×10−15 ×10−8 ×10−7 ×10−4 (◦ /h)2 ×10−13 ×10−12 ×10−13
13 1.2535 7.3658 1.8569 1.1693 3.5986 1.0053 3.5566 9.5589 3.3698 1.8325 2.2258 2.4426 37.8474 2.5973 3.4585
×10−13 ×10−14 ×10−13 ×10−10 ×10−11 ×10−10 ×10−12 ×10−13 ×10−12 ×10−12 ×10−13 ×10−13 ×10−8 (g)2 ×10−10 ×10−10
14 9.8732 8.5692 6.6258 7.3133 9.8899 8.6955 4.4537 7.3125 8.7741 8.6945 1.0263 9.8569 2.5973 34.5986 5.2845
×10−14 ×10−14 ×10−14 ×10−11 ×10−12 ×10−11 ×10−12 ×10−12 ×10−12 ×10−13 ×10−12 ×10−12 ×10−10 ×10−8 (g)2 ×10−10
15 2.1644 −1.5587 3.4111 6.8527 3.6986 −4.5478 1.3555 9.8561 7.5563 −9.9452 4.2366 3.3396 3.4585 5.2845 37.0751
×10−13 ×10−13 ×10−14 ×10−11 ×10−11 ×10−11 ×10−11 ×10−13 ×10−12 ×10−14 ×10−13 ×10−13 ×10−10 ×10−10 ×10−8 (g)2

191
192 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196

Table 4 Table 5
The mean estimation value of measurement noise covariance (R) during the time MAEs and STDs of the attitude errors by the classical UKF, SPRHKF and proposed
period 600 s to 700 s. MMAUKF for the simulation case.

Column Filtering Attitude 300 s∼400 s 600 s∼700 s

1 2 3
Row methods MAE( ) STD( ) MAE( ) STD( )
1 630.5830 m2 0.5645 0.3823 Classical UKF Pitch 0.2360 0.2921 0.2336 0.2887
2 0.5645 621.8491 m2 0.3651 Roll 0.2567 0.2986 0.2525 0.3074
3 0.3823 0.3651 1613.2945 m2 Yaw 0.4242 0.4983 0.4255 0.5146

SPRHKF Pitch 0.2064 0.2523 0.1886 0.2228

Roll 0.2206 0.2535 0.2082 0.2442
Yaw 0.3518 0.4047 0.3783 0.4404

Proposed MMAUKF Pitch 0.1064 0.1152 0.1028 0.1140

Roll 0.1163 0.1224 0.0932 0.1126
Yaw 0.1868 0.1951 0.1615 0.1857

Fig. 2. The attitude errors obtained by the classical UKF, SPRHKF.

It can also be seen from Fig. 2 that, since the measurement

noise covariance is enlarged during the time period from 600 s to
700 s, the estimation accuracy in attitude by the classical UKF and
SPRHKF are deteriorated significantly. The attitude errors in Pitch,
Roll and Yaw are within (−0.6709 , 0.6473 ), (−0.6935 , 0.6103 )
and (−1.1828 , 1.1287 ) for the classical UKF, and are within Fig. 3. The position errors obtained by the classical UKF, SPRHKF and the proposed
(−0.4730 , 0.5842 ), (−0.6117 , 0.4637 ) and (−0.8049 , 0.9148 ) MMAUKF for the simulation case.
for the SPRHKF. In contrast, the enlarged measurement noise
statistic has a much smaller influence on the proposed MMAUKF of the attitude errors estimated by the classical UKF, SPRHKF and
solution comparing to the above two methods. The attitude er- proposed MMAUKF during the time periods 300 s∼400 s and
rors in Pitch, Roll and Yaw for the proposed MMAUKF are within 600 s∼700 s are shown in Table 5.
(−0.2623 , 0.2867 ), (−0.2519 , 0.2867 ) and (−0.4221 , 0.4488 ). Fig. 3 illustrates the position errors obtained by the classi-
The mean absolute errors (MAEs) and standard deviations (STDs) cal UKF, SPRHKF and proposed MMAUKF. It can be seen that
 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196 193

Table 6
MAEs and STDs of the position errors by the classical UKF, SPRHKF and proposed
MMAUKF for the simulation case.

Filtering Position 300 s∼400 s 600 s∼700 s

methods MAE (m) STD (m) MAE (m) STD (m)
Classical UKF Longitude 6.8774 7.6975 5.9599 6.5610
Latitude 7.2663 8.0827 6.4032 7.0557
Altitude 8.5666 9.6160 8.4521 9.5890

SPRHKF Longitude 5.4459 6.1499 4.5577 5.6316

Latitude 5.4871 6.2842 5.6040 6.4711
Altitude 6.9574 8.1304 6.7370 8.0784

Proposed MMAUKF Longitude 3.0363 3.5840 2.4171 3.0061

Latitude 3.0458 3.7180 2.5271 3.0216
Altitude 4.0773 4.6703 3.9298 4.6558

the position errors have the similar trend as the attitude errors
for these three methods. During the time period from 300 s to
400 s, the position errors in longitude, latitude and altitude esti-
mated by the classical UKF are within (−16.2820 m, 16.4101 m),
(−16.0971 m, 16.0869 m) and (−23.0077 m, 22.8445 m). The
SPRHKF decreases the estimation errors of the classical UKF, and
the resultant position errors in longitude, latitude and altitude are
within (−13.0402 m, 13.0386 m), (−11.3585 m, 12.3965 m) and
(−16.1288 m, 17.9945 m). As expected, the position errors in lon-
gitude, latitude and altitude by the proposed MMAUKF are within
(−8.7479 m, 7.5285 m), (−7.0036 m, 7.5832 m) and (−11.1242 m,
10.8118 m), which are smaller than those of the classical UKF
and SPRHKF. The similar trend can also be found for the time
period from 600 s to 700 s, where the position errors in longi-
tude, latitude and altitude are within (−16.0497 m, 16.8178 m),
(−15.0316 m, 15.5603 m) and (−22.1236 m, 21.4962 m) for the
classical UKF; (−12.0367 m, 13.4140 m), (−12.9261 m, 13.3529 m)
and (−14.7665 m, 18.4110 m) for SPRHKF; and (−8.0653 m,
7.9074 m), (−7.7817 m, 6.4412 m) and (−10.6789 m, 10.0696 m)
for the proposed MMAUKF. The MAEs and STDs of the position er-
rors by the three methods in the time periods 300 s∼400 s and
600 s∼700 s are shown in Table 6.
The above results and analysis on navigation accuracy demon-
strate that the proposed MMAUKF can effectively resist the distur-
bances of inaccurate system noise statistics on the filtering solution
by online estimating and adjusting system noise statistics during
the filtering process, leading to much higher navigation accuracy
than the classical UKF and SPRHKF.
4.2.2. Computational performance
The computational performance of the proposed MMAUKF for
INS/GPS integrated navigation was also evaluated with the above
simulation case. The simulations in the previous section were car-
ried out in the Matlab program on a Core i7 PC with 3.6-GHz CPU
and 4-GB memory. The computation times of each time step for
the classical UKF, MAUKF and proposed MMAUKF are shown in
Fig. 4.
Denote the total computation times of the classical UKF, MAUKF
and proposed MMAUKF as t 1 , t 2 and t 3 , respectively. For the pur-
pose of eliminating the effect resulted from the difference of com-
puters, we define a set of relative efficiency as
t r1 = t 1 /t 1 , t r2 = t 2 /t 1 , t r3 = t 3 /t 1
Table 7 illustrates the total computation times and relative effi-
ciencies of the three filtering methods. It can be seen from Fig. 4
and Table 7 that the classical UKF has the shortest computation
time for the navigation solution, and its total computation time
and relative efficiency are 1.5502 s and 1.0000. This is because the
classical UKF does not involve complicated noise statistic estima-
tion during the filtering process. However, for MAUKF, as a vast
Fig. 4. The computation times by the classical UKF, MAUKF and proposed MMAUKF.
Table 7
The total computation times and relative efficiencies by the classical UKF, MAUKF
and proposed MMAUKF.
Filtering methods Total computation time (s) Relative efficiency
Classical UKF 1.5502 1.0000
MAUKF 17.8516 11.5157
Proposed MMAUKF 4.0548 2.6156
number of calculations are involved in the noise statistic estima-
tion process, the total computation time and relative efficiency are
17.8516 s and 11.5157, which are much larger than those of the
classical UKF. Moreover, as shown in Fig. 4, the computation time
of MAUKF continually increases in time series and seriously af-
fects the real-time filtering performance. Compared with MAUKF,
the proposed MMAUKF effectively controls the unbounded growth
of computation time in MAUKF through the moving horizon strat-
egy and significantly improves the computational performance of
MAUKF, leading to the total computation time of 4.0548 s and the
relative efficiency of 2.6156. The total computation time and rel-
ative efficiency obtained by the proposed MMAUKF is more than
77% smaller than those of the MAUKF, showing that the proposed
MMAUKF has a faster computational speed and a better real-time
performance than MAUKF.
The above results and analysis on computational performance
demonstrate that the proposed MMAUKF can effectively control
the unbounded growth of computational load involved in MAUKF
by using the moving horizon strategy, leading to a significant im-
provement of computational performance for real-time applica-
tions.
4.3. Experiments and analysis
Practical experiments were also conducted to evaluate the per-
formance of the proposed MMAUKF for vehicle navigation. As
shown in Fig. 5, the vehicle used an INS/GPS integrated system
for navigation. This navigation system includes a Guanxing NV-
IMU300 inertial measurement unit, and a JAVAD Lexon-GGD112T
(59)
GPS receiver which offers the C/A GPS data at 1 Hz. Moreover,
two NovAtel DL-V3 GPS receivers, one mounted on the vehicle and
the other placed at a reference station on the ground, were used
to provide the differential GPS (DGPS) data at 20 Hz. In order to
achieve the position accuracy of less than 0.1 m from DGPS via
post difference processing, the maximal distance between the vehi-
cle and local reference station was less than 60 km. The DGPS data
were served as the reference values for the comparison with the
194 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196

Fig. 5. Experimental setup for the vehicle navigation.

Fig. 6. Vehicle trajectory.

filtering results from the C/A code measurements of the INS/GPS

integrated system.
The vehicle navigation test was carried out near the North-
western Polytechnical University (Shaanxi, China) and the vehicle
trajectory is shown in Fig. 6. The start position of the vehicle was
at North latitude 34.0175◦ , East longitude 108.7322◦ , and altitude
395 m. The initial velocities were 20 m/s, 8 m/s and 0 m/s in the
East, North and Up. The test time was 1000 s and the filtering
period was 1 s. The horizon lengths for both SPRHKF and the pro-
posed MMAUKF were also set to 30. The other initial parameters
were of the same values as the simulation case.
Figs. 7–8 illustrate the horizontal position errors of the vehi-
cle by the classical UKF, SPRHKF and proposed MMAUKF. During
the testing process, the system noise statistics involve uncertain-
ties due to disturbances in the dynamic environment. The classical Fig. 7. The longitude errors obtained by the classical UKF, SPRHKF and proposed
UKF is significantly disturbed by the uncertainties of system noise MMAUKF for the vehicle navigation case.
statistics, resulting in the large magnitude of oscillations in the
filtering curve. The position errors in longitude and latitude are
within (−19.5233 m, 19.2293 m) and (−17.5767 m, 14.9574 m). 7.5739 m) and (−7.1299 m, 6.8324 m), which are much smaller
These are much larger than those obtained by SPRHKF, which are than those by the classical UKF and SPRHKF. The MAEs and STDs
within (−14.2366 m, 12.9537 m) and (−13.0121 m, 13.1912 m). of the position errors by the classical UKF, SPRHKF and proposed
However, obvious oscillations still remain in the filtering curve MMAUKF are listed in Table 8. It can be seen that the MAE and
of SPRHKF. In contrast, the position errors in longitude and lati- STD of the position errors by the proposed MMAUKF are also much
tude obtained by the proposed MMAUKF are within (−7.7839 m, smaller than those of the other two methods.
 B. Gao et al. / Aerospace Science and Technology 73 (2018) 184–196
Fig. 8. The latitude errors obtained by the classical UKF, SPRHKF and proposed
MMAUKF for the vehicle navigation case.
Table 8
MAE and STD of the position errors by the classical UKF, SPRHKF and proposed
MMAUKF for the vehicle navigation case.
Filtering methods Position
Longitude
Classical UKF MAE (m) 4.7417
STD (m) 5.8664
SPRHKF MAE (m) 3.9576
STD (m) 4.8637
Proposed MMAUKF MAE (m) 2.3347
STD (m) 2.9262
The above experiments and analysis demonstrate the proposed
MMAUKF can enhance the robustness of the classical UKF and out-
performs the classical UKF and SPRHKF in positioning accuracy
under the condition that system noise statistics involve uncer-
tainty.
5. Conclusions
This paper presents a novel adaptive UKF to address the prob-
lem that the filtering solution of the classical UKF is dependent
on accurate statistical characteristics of system noises. The contri-
bution of this paper is that a noise statistics estimation method
is established by combing MLP with MHE to online estimate and
adjust system noise statistics. This method includes the MLP op-
timization based estimation of system noise statistics, the moving
horizon strategy for control of the unbounded growth of compu-
tational load in the former optimization estimation, and a new
expectation maximization technique for iterative computation of
the MLP and MHE based noise statistic estimation. The proposed
method can resist the disturbances of inaccurate system noise
statistics on the UKF solution, leading to the improved adaptive
capability of the classical UKF. Simulations and experiments re-
sults demonstrate that the proposed MMAUKF outperforms the
classical UKF and SPRHKF in absence of accurate knowledge on
system noise. It can also effectively control the unbounded growth
of computational load involved in MAUKF, leading to a significant
improvement of computational performance for real-time applica-
tions.
Future research work will focus on the improvement of the pro-
posed MMAUKF. It is expected to combine the proposed MMAUKF
with artificial intelligence technologies such as pattern recognition,
neural network and advanced expert systems to automatically es-
timate the statistical characteristics of system noises from various
sources.
195
Conflict of interest statement
The authors declared that they have no conflicts of interest to
this work.
Acknowledgements
The work of this paper was supported by the National Nat-
ural Science Foundation of China (Project Numbers: 61174193,
41704016) and the Specialized Research Fund for the Doctoral Pro-
gram of Higher Education (Project Number: 20136102110036).
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